The revival of CLOs has been highlighted by the recent growth of new issuance in this space, with over $6 billion of newly issued deals introduced since last year. Market estimations predict $10-20 billion of new issuance by the end of this year and a potential doubling in 2012. Additionally, the secondary market for CLOs has seen an increase in trading activity, as fixed income investors are seeing relatively high returns in this space. This expanding investor demand for CLO products is driving the need for third party pricing vendors to provide high quality evaluated pricing.
Thomson Reuters new CLO pricing capability offers a cost-effective solution for capturing pricing information and delivering a depth of analysis not previously available in the market. The solution fully unpacks the assets underlying an individual CLO such as prepays, defaults and recoveries, in a more granular approach to credit assumptions. Particular emphasis is placed on the breakout and analysis of CCC rated loans, defaulted loans, second liens, covenant lite loans, bonds and any structured product assets in the deals.
Jayme Fagas, Head of Evaluated Pricing, Thomson Reuters, said: âThe past 12 months have witnessed a transformation in the CLO market. Products have been made simpler with higher-quality assets and more investor protection, making them an increasingly attractive investment. In a niche data market that is characterized by a small number of players, Thomson Reuters is differentiated in providing truly unique loan-level and structural analysis. And by leveraging the same delivery infrastructure that supports its broader global Portfolio Valuation Solution, Thomson Reuters can also drive down the cost of pricing CLO tranches.â
The pricing capability utilizes Thomson Reuters LPC loan pricing platform to calculate and assess the Weighted Average Price of each CLOâs portfolio of assets. It also incorporates Moodyâs Analytics CDONet Library, a comprehensive global CLO deal library that covers close to 100% of the market. This launch builds upon the already extensive fixed income content available via Thomson Reuters Portfolio Valuation Solution, which includes independent, accurate and timely pricing for more than 2.5 million instruments.